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1:30 pm AMS Seminar: Igor Cialenco (Illinois Institute of Technology) @ Whitehead 304
AMS Seminar: Igor Cialenco (Illinois Institute of Technology) @ Whitehead 304
Apr 5 @ 1:30 pm – 2:30 pm
Title: Adaptive Robust Control Under Model Uncertainty Abstract:  We propose a new methodology, called adaptive robust control, for solving a discrete-time Markovian control problem subject to Knightian uncertainty. We apply the general framework to a financial hedging[...]
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